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20202024
most citedRelevance of Wrong-Way Risk in Funding Valuation Adjustments

4 citations · 5 across the 4 of their papers we have counts for

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q-fin.CP2020★ 1 cited

A Computational Approach to Hedging Credit Valuation Adjustment in a Jump-Diffusion Setting

T. van der Zwaard, L. A. Grzelak, C. W. Oosterlee

This study contributes to understanding Valuation Adjustments (xVA) by focussing on the dynamic hedging of Credit Valuation Adjustment (CVA), corresponding Profit & Loss (P&L) and…